The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent

DOI10.1007/S00184-006-0070-YMaRDI QIDQ870513zbMATH OpenOpenAlexFDO

Authors Lixin Zhang, Xiao Rong Yang

Publication date 12 March 2007

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00184-006-0070-y

zbMATH Keywords

BootstrapAsymptotic normalityDependent random variablesUnit roost

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance
• Limit distributions of Dickey-Fuller unit root test statistics with dependent residuals and a mean shift
• On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations
• Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions
• Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
• On bootstrap implementation of likelihood ratio test for a unit root
• Unit root bootstrap tests under infinite variance
• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.

Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• A comparison theorem on moment inequalities between negatively associated and independent random variables
• Additions and correction to ``The bootstrap of the mean with arbitrary bootstrap sample size
• An invariance principle for certain dependent sequences
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• Moment inequalities and weak convergence for negatively associated sequences
• On asymptotic properties of bootstrap for AR(1) processes
• The bootstrap of the mean with arbitrary bootstrap sample size

Cited in

(6)

• Estimation of the mean for critical branching process and its bootstrap approximation
• Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions
• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations
• Limit distributions of Dickey-Fuller unit root test statistics with dependent residuals and a mean shift
• Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance

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